Pierre Garreau Personal Data Place and Date of Birth: Angers, France | 16 December 1984 Address: 1017 Academic way, room 208 Tallahassee, FL 32304 Phone: +1 850 251 8343 email: [email protected]web: www.math.fsu.edu/ ∼ pgarreau Languages French: Mothertongue English: Fluent Chinese: Basic Knowledge Spanish: Basic Knowledge Work Experience May-Aug 2009 Intern at Edmond de Rothschild Investment Partners , Paris Quantitative Research Team Designed and implemented an optimisation routine based on the Black-Litterman model and A. Meucci’s “Views on Non-Normal Markets”. Developed calibration algorithms for non-normal portfolios with copula based dependence structures. Excel - VBA -Bloomberg . April-Aug 2008 Intern at Edmond de Rothschild Financial Services , Paris Developped a structural model for capital structure arbitrage strategies based on euro-pean options and CDS. Derived Greeks for dynamic hedging of credit-equity postitions. Excel - VBA
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This note was uploaded on 01/15/2012 for the course MAT 5939 taught by Professor Garreau during the Fall '11 term at FSU.